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Here is an example that has exactly ten data points. The correlation coefficient is 0.408. In the first seven rows, A and B are equal. In the final three rows, A and B are not equal. These might represent the daily price changes of Asset A and Asset B, or perhaps the trade profits of...

Would you mind disclosing your Y2006 ratio of (income generated by selling trading courses) to (income generating by actually trading your too profitable to disclose method) ?

CBOT floor trader who specializes in executing spreads at contract-rollover time. Five times per year, come in and work for 2 days. Do nothing (or, work at other jobs) the other 355 days of the year.

Curtis Faith and Chuck Branscomb came up with a fairly slick way to extend "Profit Factor" into the domain of non-constant position sizes. Rather than take the ratio of (Total_Dollars_Won) / (Total_Dollars_Lost), they invented "Percent Profit Factor" which takes the ratio of...

Attached are the perf stats of a system called WinkB. It has 8700 trades and a Profit Factor of 2.13. But honestly, I prefer the other, previously attached system ("Sled") quite a lot more, even with its lower Profit Factor. Again the file is of type .mht which is MIME encoded HTML. It...

I agree with those who feel that Profit Factor is not always a perfect measurement of system goodness. Attached is the output of a 16 year system test with 4800 trades. The "Sled" system looks half-decent to me; you can dig through the output stats to find its Profit Factor. The zipped...

If you don't mind making the outside indicator into an ASCII file that looks like a "price data" file to the analysis software, you can call it "Data2" and almost every TA package can deal with that. You're using its intermarket analysis capability except that market#2 is really your outside...

http://www.elitetrader.com/vb/showthread.php?s=&postid=1093654&highlight=test+and+ddoc#post1093654

Several of the systems I trade are purely indicator-based, they don't use stops at all. They don't exit until the indicators say "get out tomorrow"; when this happens they place market-on-the-open orders. These are relatively long term, slow systems, with an average trade length of more than a...

If you think that's bad, read this.

What baloney. To quote a recent poll, what moronic baloney. The safest way to trade (from the standpoint of minimizing 1987 style crash risk) is to buy options or option spreads. Just make sure you are "long the wings" as Charles M. Cottle says and your risk will be strictly limited...

One cute thing you can do is temporarily tell your data software to rollover on contract expiration (see image), and also tell it to build an ASCII output file of the result. Be sure to put the contract month into the ASCII output file. Now you can look at the output file and see exactly...

The book How to Create and Manage a Hedge Fund contains these rules of thumb:minimum Assets Under Management to pay all fund costs and achieve breakeven: $9 million Assets Under Management that pays hedge fund founders a very nice annual paycheck: $100 million average Assets Under Management...

I recommend you answer the question "What's in it for the mentor?" in a fresh, innovative, intriguing manner. As MY mentor would say:You, Brooks Rimes, have proposed a trade. You propose that the mentor give you her time and her knowledge and the benefit of her experience. But you propose...

Kevin Schmit refers to this paper by Tom Cover. Prof. Cover uses the phrase "Universal Portfolios" where others use the phrase "Volatility Pumping". A nice bibliography of Cover's papers about this topic is found here. Definitions and discussions of "Volatility Pumping" less...

Here's what I did:Buy and read Ralph Vince's first book and second book Buy and read Van Tharp's first book Buy trading software that lets you test trading systems on portfolios of markets (Tradestation doesn't let you do this) using advanced position sizing concepts, such as (example 1) or...

One way to test a trading system is: to trade it, experimentally, in a special account at small size. Most CTA's include provisions for this in their disclosure documents. It's usually found in the Conflicts of Interset section. Opening up one randomly chosen D-doc, I note the following...

All you can do is bet on how the markets will react to the Federal Reserve's actions or inactions. If you want to bet that one minute after the Fed's meeting, fedfund futures will jump up dramatically, you can go long fedfund futures. If you want to bet that fedfund futures will jump down, you...

If you're running a $50M fund at 2-and-20, every % of CAGR is worth $100K per year in gross fees. So this software pays for itself if it increases your CAGR by 1/4 of 1% per year. Not to mention the fact that larger CAGR attracts more assets which increases your gross yet more. CAGR =...

You might try ringing up the boys at Blackstar Funds, at 24th St. and Camelback. Eric Crittenden (ET handle "ecritt"), Cole Wilcox, and Tom Basso (profiled in New Market Wizards). 602-795-7189 602-343-2904 Their website seems to be offline at the moment, probably installing new apps and...